Quant Investment Analytics on Google Sheets (Cloud Analytics) VBA to Google Apps Script Cloud based financial engineering solutions

Transcription

1 Quant Investment Analytics on Google Sheets (Cloud Analytics) VBA to Google Apps Script Cloud based financial engineering solutions

2 Cloud Engineering & Changing of Investment Analytics VBA vs Google Sheet programming and Automation - evolving landscape Batch file / Command line - simultaneous editing of tens of thousands of files on Google drive Access the spreadsheet and run macro on any device Cloud compiling and parallel editing of data - Code to be compiled and parallely on the cloud Scraping of Data from Internet (Like yahoo) and putting it on Cloud or using Google finance or apps Automation and Volatility trading - changing volatility and portfolio balancing

3 Excel/VBA to Google Sheets GAP (Google App Script) Many companies Provide migration services and training to move from MS Excel to Google Sheets and convert all functions/sub to GAC Excel Files lying on HDD then syncronized Code for Automation usnig VBA in Excel. Cannot run macro on Android R/MATLAB/Python used locally VBA used to create pdf, folder, move files on local HDD (less robust). Local SQL Power point Slides can import charts Data Tables present, Google Sheet on cloud - parallely editable GAC / javascript for automation. Can run macro on any android device API used to run Python - R also developed GAC used to create, move files and folder on google drive (more robust). SQL Cloud Google slides can import charts No Data tables

4 Project: Two Data Table alternative Ten Programs in Google Sheets 1. Loop through sheets/range to see if the data exist and display or change data 2. Save and read files from Goolge Drive 3. Named Range: removing, adding, editing named range 4. Difference calculation modes: Manual automatic 5. Nested Looping examples, offset and indirect from GAS 6. Pivot Table editing and changes 7. Concatenating and expanding data from a cell 8. Data table alternative way - Define input range with the formula, freeze or change calculation save. Three way sensitivity TAble 9. Google and Yahoo Finance Application 10. Integration with R / SQL on Cloud

5 Technology Changes VBA vs C# vs Javascript Keeping your organization abreast of all the changes Android and Platform independence Open Source and integration of G suite

6 Named Range

7 First example function meterstomiles(meters) { if (typeof meters!= 'number') { return null; } return meters / 1000 * ; }

8 /*** A custom function that gets the driving distance between two addresses. * {String} origin The starting address. {String} destination The ending address. {Number} The distance in meters. */ function drivingdistance(origin, destination) { var directions = getdirections_(origin, destination); return directions.routes[0].legs[0].distance.value; }

9 Custom menu to the spreadsheet /** * A special function that runs when the spreadsheet is open, used to add a * custom menu to the spreadsheet. */ function onopen() { var spreadsheet = SpreadsheetApp.getActive(); var menuitems = [ {name: 'Generate step-by-step...', functionname: 'generatestepbystep_'} ]; spreadsheet.addmenu('directions', menuitems); }

10 setalternatingrowbackgroundcolors /** * Sets the background colors for alternating rows within the range. {Range} range The range to change the background colors of. {string} oddcolor The color to apply to odd rows (relative to the * start of the range). {string} evencolor The color to apply to even rows (relative to the * start of the range). */

11 function setalternatingrowbackgroundcolors_(range, oddcolor, evencolor) { var backgrounds = []; for (var row = 1; row <= range.getnumrows(); row++) { var rowbackgrounds = []; for (var column = 1; column <= range.getnumcolumns(); column++) { if (row % 2 == 0) { rowbackgrounds.push(evencolor); } else { rowbackgrounds.push(oddcolor); } } backgrounds.push(rowbackgrounds); } range.setbackgrounds(backgrounds); }

12 getdirections /** * A shared helper function used to obtain the full set of directions * information between two addresses. Uses the Apps Script Maps Service. * {String} origin The starting address. {String} destination The ending address. {Object} The directions response object. */

13 getdirections function getdirections_(origin, destination) { var directionfinder = Maps.newDirectionFinder(); directionfinder.setorigin(origin); directionfinder.setdestination(destination); var directions = directionfinder.getdirections(); if (directions.routes.length == 0) { throw 'Unable to calculate directions between these addresses.'; } return directions; }

14 Links Functions: Google app script - looping through the rows Extending Google Sheets: Class Sheet: Macro: Datatable:

15 Google app script - looping through the rows for (var ree = endrow; ree >= startrow; ree--) { var rangetocheck = ss.getrange(ree, 3, 1, 3); // 3 columns starting with column 3, so C-E range if (rangetocheck.getvalues()[0].join().match(re)) { // joining values before checking the expression MoveDatatoThisSheet.insertRows(2,1); var rangetomove = ActiveSheet.getRange(/*startRow*/ getrow, /*startcolumn*/ 1, /*numrows*/ 1, /*numcolumns*/ ActiveSheet.getMaxColumns()); rangetomove.moveto(movedatatothissheet.getrange("a2")); // add date and time of when approved to target row in column E MoveDatatoThisSheet.getRange("E2").setValue(Date());

16 var rangetocheck = ss.getrange(ree, 4); // column D in row ree if (rangetocheck.getvalue().match(re)) { // joining values before checking the expression

17 Google Sheets API v4

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19 eadsheet

20 Google Apps Scripts to Automate Google Drive

21 Important Link Google developer - play with it while you made the changes Create contact with Google Sheets Project to Make data tables from google sheets

22 Financial Functions in Google Sheets

23 Big Data for Fixed Income Analytics Big Data for Fixed Income Analytics can be divided on data used for treasury where various economic data can be used to project any future changes in interest rate Big data on several hundred thousands of put and calls on different asset classes and using data at market close